English

Volterra differential equations with singular kernels

Probability 2017-03-27 v1

Abstract

Motivated by the potential applications to the fractional Brownianmotion, we study Volterra stochasticdifferential of the form~:\begin{equation}X\_t = x+ \int\_0^tK(t,s)b(s,X\_s)ds + \int\_0^tK(t,s) \sigma(s,X\_s)\,dB\_s ,\tag{E} \label{eq:sdefbm}\end{equation}where (B_s,s[0,1])(B\_s, \, s\in [0,1]) is a one-dimensional standard Brownianmotion and (K(t,s),t,s[0,1])(K(t,s), \, t,s \in [0,1]) is a deterministic kernelwhose properties will be precised below but for which we don't assumeany boundedness property.

Keywords

Cite

@article{arxiv.1703.08395,
  title  = {Volterra differential equations with singular kernels},
  author = {Laure Coutin and Laurent Decreusefond},
  journal= {arXiv preprint arXiv:1703.08395},
  year   = {2017}
}
R2 v1 2026-06-22T18:55:52.326Z